我国股票型开放式基金绩效评价的实证研究——基于单因素评价模型的视角
Performance Evaluation of China’s Stocks Open-end Funds——Based on Single-factor Model Perspective
通过借鉴国外成熟的基金投资绩效的单因素评价模型,以731个交易日高频数据,对我国近三年来的35只股票型证券投资基金经风险调整后的业绩进行实证研究,并与国内外实证研究结果进行比较。结果表明,经过风险调整后,我国开放式基金的业绩优于市场组合。
By referring to the foreign mature single-factor evaluation models of fund investment performance, the author do some empirical studies into the risk adjusted of the 731 days to high-frequency data on 35 our stock-based securities investment funds. Through a comparison of the result that of foreign countries and domestic, the results showed, after risk-adjusted, China’s open-end funds’ performance is better than the market portfolio’s.
冯勇
财政、金融
开放式基金单因素评价模型绩效评价
stocks open-end fundssingle-factor evaluation modelsperformance of evaluation
冯勇 .我国股票型开放式基金绩效评价的实证研究——基于单因素评价模型的视角[EB/OL].(2010-04-22)[2025-08-18].http://www.paper.edu.cn/releasepaper/content/201004-843.点此复制
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